Research Staff

Martin Weidner

cemmap and UCL

Martin joined UCL and the Centre for Microdata Methods and Practice in 2011 after finishing his PhD at the University of Southern California. He is also a Research Fellow at the Institute for Fiscal Studies and a Turing Fellow at the Alan Turing Institute. He is working on Econometrics, with a special focus on panel data models, social networks, factor models, and high-dimensional inference

Selected Publications

Individual and time effects in nonlinear panel models with large N, T

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known… Continue reading.

Ivan Fernandez-Val, Martin Weidner
2 December 2013 | CWP60/13

Latest version

Individual and time effects in nonlinear panel models with large N, T
Ivan Fernandez-Val, Martin Weidner
16 July 2014 | CWP32/14
Linear regression for panel with unknown number of factors as interactive fixed effects

In this paper we study the least squares (LS) estimator in a linear panel regression model… Continue reading.

Hyungsik Roger Roger Moon, Martin Weidner
4 October 2013 | CWP49/13

Latest version

Linear regression for panel with unknown number of factors as interactive fixed effects
Hyungsik Roger Roger Moon, Martin Weidner
21 August 2014 | CWP35/14
Analysis of interactive fixed effects dynamic linear panel regression with measurement error

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which… Continue reading.

Nayoung Lee, Hyungsik Roger Roger Moon, Martin Weidner
30 October 2012 | Journal Article

Previous version

Analysis of interactive fixed effects dynamic linear panel regression with measurement error
Nayoung Lee, Hyungsik Roger Roger Moon, Martin Weidner
15 December 2011 | CWP37/11
Estimation of random coefficients logit demand models with interactive fixed effects

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete-choice demand model, which underlies… Continue reading.

Hyungsik Roger Roger Moon, Matthew Shum, Martin Weidner
30 March 2012 | CWP08/12

Latest version

Estimation of random coefficients logit demand models with interactive fixed effects
Hyungsik Roger Moon, Matthew Shum, Martin Weidner
22 February 2017 | CWP12/17
Analysis of interactive fixed effects dynamic linear panel regression with measurement error

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which… Continue reading.

Nayoung Lee, Hyungsik Roger Roger Moon, Martin Weidner
15 December 2011 | CWP37/11

Latest version

Analysis of interactive fixed effects dynamic linear panel regression with measurement error
Nayoung Lee, Hyungsik Roger Roger Moon, Martin Weidner
30 October 2012 | Journal Article